Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0027
Annualized Std Dev 0.3212
Annualized Sharpe (Rf=0%) -0.0085

Row

Daily Return Statistics

Close
Observations 3283.0000
NAs 1.0000
Minimum -0.2198
Quartile 1 -0.0090
Median 0.0006
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0098
Maximum 0.2325
SE Mean 0.0004
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0202
Skewness 0.1880
Kurtosis 15.5686

Downside Risk

Close
Semi Deviation 0.0143
Gain Deviation 0.0150
Loss Deviation 0.0153
Downside Deviation (MAR=210%) 0.0188
Downside Deviation (Rf=0%) 0.0143
Downside Deviation (0%) 0.0143
Maximum Drawdown 0.6471
Historical VaR (95%) -0.0289
Historical ES (95%) -0.0473
Modified VaR (95%) -0.0256
Modified ES (95%) -0.0256
From Trough To Depth Length To Trough Recovery
2008-05-05 2008-11-20 2018-01-11 -0.6471 2441 141 2300
2018-01-29 2020-03-23 NA -0.5659 792 541 NA
2008-03-12 2008-03-19 2008-04-18 -0.1285 27 6 21
2008-03-06 2008-03-10 2008-03-11 -0.0876 4 3 1
2018-01-16 2018-01-16 2018-01-17 -0.0150 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA 3.1 1.5 1.4 -2 3.3 0 0.6 -0.2 -7.6 -1.4 -1.6
2009 1.5 -2.5 3.6 1.2 2.7 2 1.3 -2.7 -2 -5.8 2.5 -0.2 1.1
2010 2.3 1.5 1 -1.7 -2 -0.1 0.5 3.2 3.3 0.6 4.1 1.2 14.6
2011 0.3 1.3 0.9 0.4 -0.9 -0.1 -0.1 -1.1 -3.5 -2.1 -1.4 -1.2 -7.4
2012 2.3 0.7 2.8 0.5 -1.3 6.5 0.6 -0.4 1.4 2.2 0.9 0.9 18.5
2013 0.3 -0.6 -0.6 -1.3 -2.6 1 1.3 3.1 1.8 0.4 2 0.3 5.2
2014 -0.5 -0.7 1.4 0 -0.7 1 0.1 0.5 -1.7 1.6 -0.8 0 0.2
2015 -3.2 2.3 1.4 1.4 -0.6 1.2 1.3 -3.1 -1.1 -0.5 0.7 0.9 0.7
2016 -1.1 4.4 -0.7 0.1 0.1 1.3 -0.8 0.3 2.3 0 -0.9 0.1 5
2017 0.5 1.7 0.4 0 0.6 0.6 0.7 1.2 0.9 1.2 -1.6 0.6 7
2018 -1.7 0 1.2 -0.3 0.7 2 0.1 0.5 -0.4 3 -0.2 -0.1 5
2019 -1.2 -0.2 0.9 0 0.5 0.7 -1.2 0.9 -1.9 1.1 -1.6 0.1 -2
2020 -1.1 -2.8 -5.8 -3.4 2.6 1.8 -0.7 2 1.3 -0.6 2.8 0.1 -3.9
2021 3.8 2.1 2.9 NA NA NA NA NA NA NA NA NA 9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-03-05  25.6 SPY    134.  0.0063 -0.0318   -0.029   -0.0938  -0.042    0.104     0.617 GLD    97.7  0.0267   0.031 
2 2008-03-06  24.4 SPY    131. -0.0207 -0.0424   -0.0229  -0.104   -0.0609   0.0679    0.570 GLD    96.5 -0.0125   0.0053
3 2008-03-07  23.9 SPY    130. -0.0103 -0.0307   -0.0251  -0.128   -0.0784   0.0564    0.568 GLD    96.1 -0.0042  -0.0009
4 2008-03-10  23.3 SPY    128  -0.0132 -0.0412   -0.0443  -0.152   -0.0908   0.0464    0.536 GLD    95.9 -0.0023  -0.0141
5 2008-03-11  25.9 SPY    133.  0.0359 -0.00290  -0.0035  -0.121   -0.0595   0.0961    0.631 GLD    96.0  0.0013   0.0085
6 2008-03-12  24.8 SPY    131. -0.0094 -0.0185   -0.0179  -0.136   -0.0498   0.0835    0.631 GLD    97.0  0.0106  -0.0073
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart